Search Results - subject:"weak exogeneity"

Mikusheva, Anna; Sølvsten, Mikkel - In: Quantitative economics : QE ; journal of the … 16 (2025) 2, pp. 367-403

This paper studies linear time‐series regressions with many regressors. Weak exogeneity is the most used identifying … assumption in time series. Weak exogeneity requires the structural error to have zero conditional expectation given present and … past regressor values, allowing errors to correlate with future regressor realizations. We show that weak exogeneity in …

Persistent link: https://www.econbiz.de/10015423082

Weak exogeneity, cointegration and stability tests

Bianchi, Annamaria; Khalaf, Lynda; Urga, Giovanni - 2025

Persistent link: https://www.econbiz.de/10015191531

Lags, leave-outs and fixed effects

Chudik, Alexander; Ellis, Cameron M.; Jaspersen, Johannes G. - 2025

Persistent link: https://www.econbiz.de/10015546319

Money supply, budget deficit and inflation dynamics in Ghana : an empirical investigation

Duodu, Emmanuel; Baidoo, Samuel Tawiah; Yusif, Hadrat; … - In: Cogent business & management 9 (2022) 1, pp. 1-23

budget deficit (inflation) shocks. Based on the weak exogeneity test, the result favours the fiscal theory of the price level …

Persistent link: https://www.econbiz.de/10014425696

Money supply, budget deficit and inflation dynamics in Ghana: An empirical investigation

Duodu, Emmanuel; Baidoo, Samuel Tawiah; Yusif, Hadrat; … - In: Cogent Business & Management 9 (2022) 1, pp. 1-23

budget deficit (inflation) shocks. Based on the weak exogeneity test, the result favours the fiscal theory of the price level …

Persistent link: https://www.econbiz.de/10014505673

Stability between cryptocurrency prices and the term structure

Castle, Jennifer; Kurita, Takamitsu - In: Journal of economic dynamics & control 165 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10015051128

The discovery of long-run causal order : a preliminary investigation

Hoover, Kevin D. - In: Econometrics : open access journal 8 (2020) 3/31, pp. 1-24

The relation between causal structure and cointegration and long-run weak exogeneity is explored using some ideas drawn … long-run causal structure among a set of time-series variables from an exhaustive examination of weak exogeneity in …

Persistent link: https://www.econbiz.de/10012265689

The discovery of long-run causal order: A preliminary investigation

Hoover, Kevin D. - In: Econometrics 8 (2020) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10012696294

Partial cointegrated vector autoregressive models with structural breaks in deterministic terms

Kurita, Takamitsu; Nielsen, Bent - In: Econometrics : open access journal 7 (2019) 4/42, pp. 1-35

This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms. Moving-average representations of the models are given. It is then shown that, under the assumption of martingale difference innovations, the limit distributions of partial...

Persistent link: https://www.econbiz.de/10012160757

Relationship between government expenditure and economic growth : evidence from Vanuatu

Chen, Hong; Singh, Baljeet; Aru, Wesley Steve - In: Journal of the Asia Pacific economy 27 (2022) 4, pp. 640-659

Persistent link: https://www.econbiz.de/10013493109

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